Kinetick historical tick plus Totalview real time via IB

[jvanelli]

I would like to use NT8 for charting and order entry, with Kinetick connection for historical tick data (NASDAQ) and IB connection for real time and market depth data (NASDAQ Totalview). Is this possible, practical? Comments welcome.

[NinjaTrader_Zachary]

Hello jvanelli,

Thank you for your inquiry.

While it's possible to use 'Preferred Connections' to set Kinetick as your historical data provider while Interactive Brokers is set as the real-time data provider, you would not be able to designate Interactive Brokers as the exclusive source of the Level 2 data. In real-time, the Level 2 data would come from Interactive Brokers and the historical Level 2 data would be coming from the Kinetick connection. Additionally, you would not be able to use the settings to designate one connection as the source of all historical tick data without that same connection being the source of all historical data. The 'Preferred Connections' settings do not get that granular, and are separated by instrument class rather than data type. I've included a link to the section of our help guide that describes how to set 'Preferred Connections' within NinjaTrader;

https://ninjatrader.com/support/helpGuides/nt8/index.html?multiple_connections.htm#SettingPreferredDataConnections

Please let us know if we may assist you any further.

[jvanelli]

What you have described would be perfectly acceptable, but it does not work. I do not require historical Level 2 data. However, it seems like there is no way to get NT8 to display Level 2 data from IB, regardless. I am subscribed to NASDAQ Totalview (the Island Book) via IB. Via NT8 Tools/Instruments I can define Island as primary exchange for a NASDAQ instrument (e.g. AAPL), launch an NT8 Level 2 window for that instrument, and still all I see are current bid/ask/last/etc. No market depth is displayed. I have a lifetime, multi-broker license for NT8 and the program works well enough for futures, but my advice to all would be 'do not expect to use it for equities'. Note also that I can obtain a rather limited NT8 Level 2 display for some equity instruments via TD Ameritrade, but this again is of little actual use for trading.

[NinjaTrader_Zachary]

Hello jvanelli,

Thank you for your reply.

This would indicate that you do not have the proper exchange selected. NinjaTrader would not be able to display Level 2 data for any market makers aside from the primary exchange that the instrument trades on. For instance, to receive data in the Level 2 window in NinjaTrader for AAPL, NASDAQ must be the selected exchange in the instrument configuration in NinjaTrader and your IB account must be subscribed to Level 2 data for the NASDAQ exchange. Here's another forum thread that discusses this same topic at length;

https://ninjatrader.com/support/forum/forum/ninjatrader-8/platform-technical-support-aa/1076673-can-no-longer-obtain-more-than-one-week-of-tick-level-data-on-kinetick-data-stream#post1076699

I'd be happy to submit a feature request to our Development team on your behalf regarding the ability to receive Level 2 data from multiple market makers through the Interactive Broker's connection. The internal tracking number for your feature request is SFT-3060. Please reference this internal tracking number if you ever have questions regarding this feature request.

When a feature request is implemented, you'll find it in the release notes:

http://ninjatrader.com/support/helpG...ease_notes.htm

[jvanelli]

To be perfectly clear, I believe that I have tried this every way possible and it still fails. With AAPL as example, I have used Tools/Instruments to define the exchange as NASDAQ (and only NASDAQ) and it fails to display. I have also used Tools/Instruments to define the exchange as ISLAND (and only Island), or as "default" (and only as "default") and it still fails. As a matter of fact, I have tried all possible combinations of NASDAQ, Island, "default" and a few others all to no avail.

Perhaps the Catch 22 here is that IB (and I think many others) now offer NASDAQ TotalView (which is effectively the ISLAND ECN) as Level 2 data source for instruments traded on NASDAQ. At their end, IB is probably identifying the associated "exchange" as ISLAND. On the other end, NT8 is probably associating any Level 2 data request with a "primary exchange" as defined somewhere not accessible to me. Thus the Level 2 data request fails at IB.

To my knowledge NASDAQ TotalView is the only means of access to full NASDAQ Level 2 currently offered by IB. For NYSE the options are NYSE ARCABook and NYSE OpenBook. You will find that many instruments with primary listing on NASDAQ also trade on the ARCA ECN with Level 2 data available via ARCABook. By the same token, many instruments with primary listing on NYSE are also trade on the ISLAND ECN with Level 2 data available via NASDAQ TotalView. This is how the industry has been changing and will probably continue to change.

I note in passing that NT8 does have some Level 2 capability via the TD Ameritrade data feed, and for some perhaps this is acceptable, but it is limited to a handful of levels and appears to update about once per second. This won't work for me.

I've had some experience with the IB API and readily acknowledge that it is more specific, perhaps more reliable but certainly more difficult to implement than some others. It is possible that this problem is nothing more that an incorrect flag setting in the data request. But in any case I don't think it is proper to characterize this as a "feature request". That NinjaTrader professes to support the IB data feed was the main reason I signed on for a multi-broker lifetime license in the first place. I was also told that NinjaTrader would continue to support whatever data feeds were in place at the time I signed on. That was the commitment NinjaTrader made at the time. To honor that commitment now someone at NinjaTrader needs to take a serious look at this problem and fix it. If it is not possible to fix with reasonable effort, then so acknowledge and we can all just move on.

[NinjaTrader_Heath]

Hello jvanelli,

Thank you for your reply.

Please note that when configuring these instruments you'll need to reach out to IBV directly if the provided symbol mapping isn't working for you to determine what symbol mapping you should be using for this specific instrument. This would not be determined by NinjaTrader but by your data provider themselves.

I would recommend reaching out to IB to confirm your theory about the exchange, then make sure these exchange settings match for this instrument in NinjaTrader.


Please feel free to write in if you need additional assistance.

[jvanelli]

The error message received back from IB when I had NASDAQ set as exchange for AAPL via Tools/Instruments was:

"Requested market data requires additional subscription for API. See link in 'Market Data Connections' dialog for more details.Delayed market data is not available.AAPL NASDAQ.NMS/DEEP"

When I opened my IB account user settings to select data subscriptions the only available Level 2 options that even contain the letters NASDAQ were:

NASDAQ BX Totalview
NASDAQ Options Market
NASDAQ Totalview-Openview
NASDAQ Totalview-Openview EDS

BX Totalview applies to the former Boston exchange. I am not interested in the Options Market. So I purchased the NASDAQ Totalview-Openview initially. This worked on TWS but data requests for Level 2 generated by NT were rejected. I have since determined that the additional NASDAQ Totalview-Openview EDS add-on subscription may be required to make the Level 2 data available to third party applications via the API.

And so just purchased the EDS add-on (only costs a dollar/month) but will not be able to test until Monday. I will let you know if this works.

[jvanelli]

Premarket just opened Monday morning and I can confirm that AAPL depth of market is working with my NT8 chart indicators. So the moral of this story is "read the fine print" especially as regards IB. I don't know when this was done, could have been a few years ago as I have been focused on the futures for several years, but the NASDAQ Totalview-Openview subscription is the only route to deep book for NASDAQ instruments now, and to make it work via the API you need the EDS extension. Market is very slow now, of course, and so I cannot comment on performance, yet.